Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0695
Annualized Std Dev 0.1853
Annualized Sharpe (Rf=0%) 0.3750

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.0986
Quartile 1 -0.0052
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0063
Maximum 0.1205
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0117
Skewness -0.0064
Kurtosis 9.1051

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0083
Loss Deviation 0.0087
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.4058
Historical VaR (95%) -0.0181
Historical ES (95%) -0.0272
Modified VaR (95%) -0.0167
Modified ES (95%) -0.0232
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2012-03-13 -0.4058 1072 312 760
2000-01-11 2001-09-20 2006-02-27 -0.3332 1540 424 1116
2020-01-23 2020-03-23 2020-07-17 -0.2875 123 42 81
2015-07-21 2016-02-11 2017-06-02 -0.1774 472 143 329
2018-12-03 2018-12-24 2019-11-15 -0.1582 241 15 226

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.6 -0.2 0 -0.7 0.3 0.3 -0.7 0.1 -0.3 0.1 -0.2 0.6 -0.3
2000 1.3 0.8 1.8 0.3 -0.6 0.3 0.9 -0.1 -0.3 0.7 0.7 -1.1 4.7
2001 1.3 -0.3 0.1 1.6 -0.3 0.4 -0.1 1 -1.9 1.4 0.4 -1.5 2
2002 -0.2 1.9 -0.9 1.8 0.7 -4.2 -2.8 -0.3 3.1 1 -0.4 0.5 0
2003 2 0.3 1.4 0.3 1.1 0.5 -1.5 0.3 1.8 0.9 1.6 0.4 9.4
2004 -0.5 0.3 0.7 0.1 0.5 -1.4 0.4 0.4 0.9 -0.9 1.7 -0.4 1.7
2005 1 0.8 -0.9 1.5 0.3 -0.1 0.5 0 0.1 -0.3 1 -0.6 3.2
2006 0.6 0.1 -0.6 -0.9 1.4 0.6 0 0.5 0.3 -0.7 -0.1 -0.3 1
2007 0.8 -0.4 0 0.2 0.1 -0.3 0.7 0.5 1.5 -1.4 0.1 -0.4 1.5
2008 0.5 -1.4 1.6 1.8 -0.2 0 -0.8 -1.1 0.7 0.1 -5.1 0.9 -3.1
2009 -1.1 -4 0 -0.2 0.7 0.3 -0.8 -1.6 -1.4 -1.4 1.8 -1.3 -8.9
2010 0.6 1 0.6 -1.3 -1.1 -0.9 0.4 2.3 0 0 1.9 0 3.4
2011 1.8 -0.8 0.5 -0.1 -1.4 1.2 -1.7 -0.7 -1.3 -1.9 0.1 -0.2 -4.3
2012 1 0.5 0.8 0.4 -1.8 1.9 0.1 0.3 0.6 0.8 0.1 1.1 5.8
2013 0.8 0.8 0.1 -1.1 -2.2 0.3 0.6 -0.4 1.3 0.7 -0.1 -0.1 0.7
2014 -0.9 0 0.6 0.2 0.3 1.3 0.1 0.4 -1 0.4 -0.2 -1 0
2015 -1.6 -0.5 -1 1.4 0.4 1.1 0.6 -2.6 1 -0.6 1.7 -0.9 -1.2
2016 0.2 2.1 1.1 -1.6 0.4 0.6 0.6 -0.3 1 -0.5 -0.7 -0.4 2.6
2017 0.9 1 -0.3 0.2 1.1 -0.1 -0.2 -0.1 0.6 0.2 -0.2 -0.6 2.5
2018 0 -1.6 0.8 0 1.2 0.2 0 0 0.5 1.3 2 1.5 5.9
2019 0.1 1.4 0.2 -0.2 -0.7 0.5 0.1 0.1 -1 0.1 -0.4 0.2 0.5
2020 -2 -1.3 -3.8 -1.9 -1 0.8 -0.6 -0.9 -0.3 0 0.8 1.1 -8.9
2021 0.4 1.3 0.4 NA NA NA NA NA NA NA NA NA 2.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  25.9 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  26.3 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  26.8 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  26.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  27.0 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  27.0 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart